John Scott

Date of Award

2025

Document Type

Thesis

Degree Name

Bachelors

Department

Social Sciences

First Advisor

Yu, Sherry

Area of Concentration

Economics

Abstract

This research analyzes the market performance of five U.S. equity sectors including Technology, Retail, Energy, Healthcare and Financials throughout recession periods from 1999 to 2015. The research concentrates its analysis on two significant market downturns: the Dot- Com Crash and the Great Recession by studying sector performance in comparison with the S&P 500 based on financial theory principles as well as behavioral economics concepts. Regular rolling calculations of 5-day standard deviations and 60-day rolling Beta measures for each sector allows evaluation of expected and actual returns by using the Capital Asset Pricing Model (CAPM) framework. The methodology provides real-time assessments of volatility together with market sensitivity and theoretical pricing model deviation throughout different market environments. During recessions the Retail and Healthcare industries demonstrate defensive characteristics because they maintain low Beta values and exhibit lower volatility that matches expected CAPM patterns. The market sensitivity and return deviations from expectations in Technology and Financials remain high because investors experience overreaction and show loss aversion and follow each other's choices. Several energy-related challenges lead to sector instability rather than traditional equity factors driving this movement. The analysis brings together traditional financial measures with investor psychological elements to develop an extensive risk assessment framework during economic declines. Investor needs for resilient portfolio design will benefit from employing rolling risk assessments that merge behavioral principles to make strategic wealth distribution decisions in economically challenging times.

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